Pages that link to "Item:Q1424714"
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The following pages link to Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou (Q1424714):
Displaying 15 items.
- Continuity correction for discrete barrier options with two barriers (Q455886) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- Analysis of quadrature methods for pricing discrete barrier options (Q1017005) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Pricing financial claims contingent upon an underlying asset monitored at discrete times (Q2476662) (← links)
- An exact analytical solution for discrete barrier options (Q2488504) (← links)
- A continuity correction for discrete barrier options (Q2707182) (← links)
- Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier (Q2786033) (← links)
- A Closed-Form Formula for an Option with Discrete and Continuous Barriers (Q3083786) (← links)
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result (Q3611814) (← links)
- Pricing European discrete barrier option based on Bates model (Q4688121) (← links)
- Pricing Discrete European Barrier Options Using Lattice Random Walks (Q4825513) (← links)
- RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT (Q4906529) (← links)
- Extension of the Arrowsmith-Essam formula to the Domany-Kinzel model. (Q5927970) (← links)
- Continuity correction: on the pricing of discrete double barrier options (Q6154209) (← links)